Product performance

Product performance

Aeroplane - jet fuel hedging - taking off

The three hypothetical products analysed all have strike dates of September 16, 2011, and have been valued weekly until the final valuation date of March 16, 2012.

Figure 1 illustrates the performance of a six-month reverse convertible bond linked to the common stock of Starbucks with fixed monthly coupons equivalent to 7.2% per annum, regardless of the performance of the underlying or whether the trigger level is breached. The product was priced at 97% of par and the issuer's credit spread was

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